Measuring contagion between energy market and stock market during financial crisis: A copula approach

Causality in distribution between European stock markets and commodity prices: using independence test based on the empirical copula

“…Aloui, Hammoudeh and Nguyen [2013] used time-varying copula to focus on the oil-stock market relationship for six major transition markets in the Central and Eastern European region. Wen, Wei and Huang [2012] studied a contagion effect between stock prices and crude oil during the recent financial crisis. Second, a copula function can be used for Granger causality analysis and information transmission (usually volatility transmission).…”

The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective

“…Furthermore, because our study period includes the recent 2007-2010 financial crisis and the financial crisis can have a significant impact on world oil and financial markets [51,52], it is opportune to examine the potential impact of the financial crisis on market interdependencies between real oil prices and stock prices. To do so, we divide our study period into two sub periods, referred to as a [53].…”

Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach

“…For example, Nguyen and Bhatti (2012) did not find any tail dependence in the relationship between global oil price changes and the Chinese stock market. By using time-varying copulas, Wen et al (2012) also found limited evidence of contagion between the energy and stock markets in China during the recent financial crisis. More recently, Wang et al (2013) reported that aggregate demand uncertainty has a stronger influence on stock markets in oil-exporting countries as opposed to oil-importing countries such as China.…”

“…More recently, wavelet analysis for different China Economic Review 34 (2015) 311-321 ☆ We would like to thank the participants at the conference on "China After 35 Years of Transition" held at London Metropolitan University, London, UK, 8-9 May, 2014, for their useful comments and suggestions.1 Given the rise of China as a major economic power, a number of empirical studies have also focused on the impact of oil price changes on Chinese stock returns. Most of them examine the response of aggregate returns (e.g., Nguyen & Bhatti, 2012;Wen, Wei, & Huang, 2012;Wang, Wu, & Yang, 2013;Fang & You, 2014;among others). For example, Nguyen and Bhatti (2012) did not find any tail dependence in the relationship between global oil price changes and the Chinese stock market.…”